Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0059
Annualized Std Dev 0.3623
Annualized Sharpe (Rf=0%) -0.0162

Row

Daily Return Statistics

Close
Observations 4799.0000
NAs 1.0000
Minimum -0.2657
Quartile 1 -0.0070
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0084
Maximum 0.3978
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0009
Variance 0.0005
Stdev 0.0228
Skewness 0.6837
Kurtosis 42.6349

Downside Risk

Close
Semi Deviation 0.0163
Gain Deviation 0.0183
Loss Deviation 0.0198
Downside Deviation (MAR=210%) 0.0202
Downside Deviation (Rf=0%) 0.0163
Downside Deviation (0%) 0.0163
Maximum Drawdown 0.9410
Historical VaR (95%) -0.0285
Historical ES (95%) -0.0552
Modified VaR (95%) -0.0130
Modified ES (95%) -0.0130
From Trough To Depth Length To Trough Recovery
2007-02-07 2009-03-09 NA -0.9410 3555 525 NA
2004-04-02 2004-05-10 2004-12-08 -0.2570 173 26 147
2002-07-10 2002-10-11 2003-06-30 -0.1897 246 67 179
2005-07-29 2005-10-13 2006-03-16 -0.1608 159 54 105
2005-01-04 2005-03-23 2005-06-08 -0.1382 108 55 53

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA 0 -0.1 -0.4 0.3 1 1.5 0.4 -0.4 0.1 3 0.7 6.1
2003 0 1.5 1.6 0.6 0.4 -0.1 -0.5 0 0.7 1.2 2.2 0 7.8
2004 0.7 0.8 1.1 1.6 0.8 1 1.2 0.6 0.6 0.7 1.4 1 12.2
2005 2.2 1.4 1.1 0.8 1.4 0.8 0.3 1.8 1.1 -0.9 1.1 0.8 12.6
2006 -0.3 1 -0.1 0 2 1 -1.2 0 0.2 0.5 0.3 1.5 5
2007 1.1 0.4 -0.1 -1.5 0.6 -0.6 -1.4 4.1 1.2 -0.9 0.5 -1.3 1.9
2008 3.9 -0.5 5.3 2.5 1.3 0.4 -0.2 1.4 4.5 7.2 -14.1 10.1 21.7
2009 -1.1 -1.2 3.5 -2.8 4.8 3 1.3 -4.4 -4.1 -2.5 1.8 -1.9 -4
2010 2.3 0.5 -0.3 -2.6 -2.8 -0.3 1 4.2 -0.8 1.1 1 0.8 4.1
2011 2.4 -1.4 -0.1 2 -3.8 2.1 0.5 -1.8 -2.2 -2.6 -1.6 -0.5 -6.9
2012 1 1.4 2 0.7 -2.4 1.8 0.7 0 -1.8 0.8 0.2 1.3 5.7
2013 0.7 0.2 -1.1 0.9 -3 1.2 -1.5 1.5 2.4 0.4 0.1 1.1 2.7
2014 1.2 1.2 0.3 0.4 0.4 1.1 -0.1 0.7 0.3 1 -0.5 -1.1 5
2015 -1.6 0.6 0.2 0.3 0.7 1.9 1.2 -1 -1 -0.3 1.7 1.8 4.5
2016 -0.4 2.3 1.4 0.2 0.9 -1.1 -1.2 -0.1 0.5 -2.2 -1.6 2 0.8
2017 -1.2 0 0.2 -0.3 1 0 0 1.1 0.4 0.4 0.4 1 3
2018 -1.5 0.4 0.5 0.4 1.2 0.4 0.2 0.2 0.7 1.2 0.8 1.4 6
2019 0.7 -0.3 0 0.6 1.1 0.7 0.6 0.7 -2.2 -1.2 1.1 1.1 2.8
2020 -0.6 -1.2 -10.2 -2.6 3.7 1.6 -0.8 0.3 2.1 -0.8 -0.3 1.6 -7.6
2021 2.1 0.7 -0.7 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart